Line 11 x 7 x 2-inch baking pan with foil; coat with cooking spray. In saucepan, bring milk, 3/4 teaspoon salt, fennel seeds and 1/8 teaspoon pepper to simmering. Whisk in cornmeal; cook, whisking, until polenta is thick and smooth, 3 minutes. Stir in Parmesan. Spread in pan; cover. Refrigerate 1 hour or until firm.
In bowl, whisk juice, oil, remaining salt and pepper. Remove stalks, fronds from fennel. Leaving core intact, cut fennel and onions in 1-inch wedges; add to lemon.
In saucepan of boiling water, cook sausage 5 minutes. Drain; cut sausages lengthwise in half.
Heat grill. Cut firm polenta into 6 squares.
Grill sausages, fennel and onion 10 minutes and grill polenta 4 minutes, turning each halfway through. Drizzle with any remaining dressing. Makes 6 servings.